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the_log_normal_risk_model.go
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the_log_normal_risk_model.go
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// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package steps
import (
"code.vegaprotocol.io/vega/core/integration/steps/market"
types "code.vegaprotocol.io/vega/protos/vega"
"github.com/cucumber/godog"
)
func TheLogNormalRiskModel(config *market.Config, name string, table *godog.Table) error {
row := logNormalRiskModelRow{row: parseLogNormalRiskModelTable(table)}
return config.RiskModels.AddLogNormal(name, &types.TradableInstrument_LogNormalRiskModel{
LogNormalRiskModel: &types.LogNormalRiskModel{
RiskAversionParameter: row.riskAversion(),
Tau: row.tau(),
Params: &types.LogNormalModelParams{
Mu: row.mu(),
R: row.r(),
Sigma: row.sigma(),
},
},
})
}
func parseLogNormalRiskModelTable(table *godog.Table) RowWrapper {
return StrictParseFirstRow(table, []string{
"risk aversion",
"tau",
"mu",
"r",
"sigma",
}, []string{})
}
type logNormalRiskModelRow struct {
row RowWrapper
}
func (r logNormalRiskModelRow) riskAversion() float64 {
return r.row.MustF64("risk aversion")
}
func (r logNormalRiskModelRow) tau() float64 {
return r.row.MustF64("tau")
}
func (r logNormalRiskModelRow) mu() float64 {
return r.row.MustF64("mu")
}
func (r logNormalRiskModelRow) r() float64 {
return r.row.MustF64("r")
}
func (r logNormalRiskModelRow) sigma() float64 {
return r.row.MustF64("sigma")
}